SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

0.18 0 757108 27.58261 16.99154 16.77 17.2 0.43 18900 0.27 27500 555189 27.52475 17.34784 16.99 17.58 0.59 27200 0.5 0 474335 27.55967 17.1293 16.92 17.44 0.52 223500 0.27 0 423033 27.59225 17.03307 16.8 17.2 0.4 32000 0.3875 33900 448356 27.58658 16.87038 16.74 17.04 0.3 0 0.2375 57260 600690 28.31401 17.1511 16.9 17.4 0.5 17400 0.43 0 483582 27.53789 16.91749 16.61 17.35 0.74 41093 0.2 0 282505 27.55237 16.21996 15.91 16.9599 1.0499 90505 0.23 0 306276 27.55232 16.31913 16 16.56 0.56 34100 0.2 22144 403471 27.54041 16.658 16.47 16.76 0.29 17300 0.13 57625 520823 27.53752 16.75992 16.43 17.19 0.76 40200 0.06 24400 545986 27.52075 17.24184 16.97 17.5 0.53 55900 0.01 0 358652 27.52256 17.18884 17.06 17.39 0.33 10000 0.07 99435 388678 27.51201 17.08058 16.83 17.32 0.49 15000 0.12 40911 493207 27.53962 17.3376 17.1 17.5 0.4 23600 0.24 37882 721071 28.13032 17.2691 17.07 17.5 0.43 57800 0.19 0 527062 27.59704 17.48237 17.29 17.7 0.41 33285 0.23 49090 696085 27.60713 17.3746 17.03 17.58 0.55 37800 0.36 221994 946475 27.59582 17.11782 16.9 17.32 0.42 19800 0.3 98100 614760 27.88036 17.37718 17.16 17.69 0.53 10000 0.6012 18300 795718 27.66745 17.74708 17.41 17.95 0.54 102301 0.42 78050 766188 27.69191 17.7994 17.585 17.94 0.355 10000 0.22 0 565730 27.63888 17.62511 17.52 17.7 0.18 43231 0.14 35598 378571 27.62545 17.79639 17.59 17.91 7:40 AM 29450 0.07 10600 418417 27.65647 17.70867 17.5 17.94 0.44 0 0.14 0 295017 27.63048 17.91879 17.73 18 0.27 51206 0.14 26000 416854 27.65141 17.80679 17.61 17.92 0.31 23865 0.27 0 623921 27.67522 18.11612 17.91 18.32 0.41 88074 0.28 47800 794436 27.73108 18.15551 17.94 18.4 0.46 24700 0.21 35600 572242 27.72586 17.82318 17.51 18.05 0.54 160300 0.19 34690 631186 27.69554 17.62556 17.49 17.77 0.28 167846 0.18 34500 419809 27.67969 17.35581 17.22 17.58 0.36 84700 0.23 16100 448446 27.70526 17.66418 17.26 18 0.74 10000 0.15 10000 216807 27.70518 18.08157 17.8 18.29 0.49 90000 0.1 0 197139 27.70002 17.75589 17.5 18 0.5 77200 0.15 94753 492865 27.7181 17.94016 17.74 18.1 0.36 22700 0.37 184300 626500 27.69494 17.87675 17.82 17.99 0.17 0 0.23 33135 640570 27.63711 17.69232 17.51 17.89 0.38 13200 0.51 0 625059 27.57447 17.62456 17.48 17.89 0.41 10100 0.62 80600 617051 27.57982 17.79492 17.495 17.89 0.395 0 0.22 0 418890 27.61399 17.7292 17.5 17.85 0.35 20000 0.34 159560 1076594 27.64108 17.55709 17.4 17.7 0.3 66800 0.235 11195 606306 27.68274 17.59481 17.41 17.82 0.41 147800 0.22 0 581376 27.70663 17.53851 17.49 17.7302 0.2402 0 0.58 15800 717330 27.71713 17.49711 17.45 17.56 0.11 15000 0.26 77450 799359 28.33016 17.44503 17.3 17.56 0.26 96300 0.54 109134 1081868 27.78402 17.58292 17.5 17.69 0.19 0 0.31 30805 1017087 28.25874 17.42291 17.3 17.55 0.25 0 0.33 26700 943887 27.75969 17.45564 17.24 17.58 0.34 0 0.65 31725 1040790 27.7734 17.16003 16.99 17.33 0.34 26600 0.58 43600 1093991 27.77763 17.30869 17.15 17.4 0.25 0 0.53 85080 1023847 27.85474 17.45271 17.35 17.55 0.2 0
0.56 145997 1370219 27.91591 17.44295 17.22 17.63 0.41 38360 0.46 306700 1021779 27.97182 17.443 17.24 17.69 0.45 25700 0.67 78100 1218486 28.14827 17.65385 17.45 17.77 0.32 10700 0.62 83200 1141887 27.89942 17.64717 17.53 17.71 0.18 33000 0.6875 52008 1020336 27.94159 17.55324 17.44 17.66 0.22 83756 0.8 250775 1340165 28.0124 17.36134 17.28 17.5 0.22 12800 1.22 220871 1113997 28.04249 17.45257 17.34 17.61 0.27 12500 0.89 71980 874585 28.00844 17.43721 17.28 17.54 0.26 66600 0.64 139362 895411 27.97684 16.97806 16.55 17.3 0.75 0 1.02 225292 1703748 28.03319 16.45762 16.15 17.59 1.44 0 1.3 247270 1930473 28.05833 16.2182 15.84 16.43 0.59 141270 0.71 72660 2061044 28.03584 16.40068 16.0288 16.6 0.5712 69477 1.05 35778 1716833 28.02914 16.42531 16.28 16.63 0.35 0 0.81 76500 2103855 28.03416 16.21431 15.82 16.458 0.638 29580 0.7 169900 1710833 28.05946 16.49561 16.26 16.77 0.51 33700 0.87 111617 1612052 28.05439 16.48471 16.25 16.67 0.42 20400 5 199900 1715578 28.00841 16.36264 16.28 16.53 0.25 59439 0.64 11800 1420875 28.06872 16.56402 16.36 16.8 0.44 0 1.75 10000 1685298 28.09548 16.68292 16.54 16.88 0.34 10000 0.99 68948 1580378 28.06629 16.53589 16.41 16.69 0.28 54800 0.47 0 1061048 28.03785 16.70466 16.55 16.9 0.35 20000 0.64 50920 1386209 27.98556 16.64976 16.58 16.81 0.23 163600 1.1 330421 1953059 27.94884 16.718 16.51 16.9 0.39 0 2.41 142328 1977268 27.91397 16.34826 16.2 16.58 0.38 10000 2.61 51400 1528834 27.91468 16.44432 16.295 16.57 0.275 0 0.7 43100 981432 27.93526 16.05452 15.6 16.47 0.87 34900 0.71 14300 1176787 28.29887 16.20513 15.6388 16.3 0.6612 0 0.31 18300 714609 27.9176 16.29806 16.16 16.35 0.19 0 0.45 0 928000 27.89041 16.28371 16.1 16.54 0.44 36949 0.63 15000 763166 27.85405 16.80887 16.51 17.16 0.65 60754 0.54 41805 772288 27.92281 17.40104 17.04 17.65 0.61 24400 0.5 0 473035 27.91252 17.04067 16.69 17.5 7:26 PM 11500 0.46 102200 936834 27.98413 17.69838 16.7201 18.57 1.8499 126862 0.9 289500 1178213 28.04899 18.55569 17.2 18.88 1.68 37900 0.55 143669 1276945 28.07014 18.48365 18.15 18.81 0.66 10245 0.67 36700 1117687 28.10351 18.70132 18.5 18.93 0.43 0 0.595 26963 1535475 28.10835 18.96008 18.6 19.2 0.6 40293 1.4 26353 1288139 28.15889 19.3105 18.59 19.6 1.01 167813 0.75 10000 1129281 28.10646 19.74819 18.67 20 1.33 101161 0.416 10000 889748 28.10468 19.83884 19.43 20 0.57 0 0.44 17200 817907 28.12018 19.35065 19.03 19.735 0.705 39960 0.59 10000 1045287 28.14007 19.06824 18.74 19.55 0.81 20000 0.38 28200 956007 28.18372 19.51332 19.03 19.85 0.82 128411 0.5125 0 860451 28.17136 20.17414 19.45 21 1.55 286487 0.53 20000 926492 28.09765 21.37164 19.6 22.17 2.57 308528 0.35 10600 854452 28.05521 21.578 19.58 22.11 2.53 31000 0.74 0 635990 28.30205 21.05597 20.49 22 1.51 87200 0.2812 107645 789880 28.07935 20.56547 20.22 21.82 1.6 0 0.8 53910 977076 28.02571 20.54458 20.2 21.38 1.18 99485 0.61 71400 852735 28.05693 20.71217 20.2 20.87 0.67 108980 0.62 13000 670028 28.09863 21.32441 20.62 21.87 1.25 181340 0.9475 10200 664451 28.04239 21.93788 20.66 22.18 1.52 248700
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TO: Distribution List DRAFT MEMORAN
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DRAFT on short selling, particularl
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Price pressure DRAFT Several empiri
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DRAFT these measures are designed t
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DRAFT the highly automated markets
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submitted analyses that are not dir
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The CFA Institute Centre for Financ
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DRAFT National Association of Real
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To: Chairman Christopher Cox Throug
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In our analyses, (described in furt
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4. 0< ri 100 bp where bp is basis p
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We also found that changes in the p
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- If the order was submitted at the
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ates were 56%. This asymmetry holds
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Table 2 - Minimum Shortable Price(M
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Table 3 Minimum Shortable Price(MSP
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Table 4 - Minimum Shortable Price(M
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Table 5 Minimum Shortable Price(MSP
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Table 5 (cont’d) Minimum Shortabl
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Table 6 (Cont’d) Minimum Shortabl
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Table 7-A Stocks: Three sampled sto
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OFFICE OF ECONOMIC ANALYSIS DRAFT M
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Historical Context To aid in evalua
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Market Volatility Forecast The grap
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Root Mean Squared Return 0.006 0.00
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Abnormal End-of-Day Volatility In o
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To further investigate historical p
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1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0
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Appendix 2: Open-To-Close vs. Overn
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Appendix 3: Extreme Days The analys
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Index (15:20 = 1) 1.01 1 0.99 0.98
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810 800 790 780 770 760 750 740 Fig
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Have a great week end. Christophe 2
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001828
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SEC_OEA_FCIC_001830
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SEC_OEA_FCIC_001832
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001836
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SEC_OEA_FCIC_001838
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SEC_OEA_FCIC_001840
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SEC_OEA_FCIC_001842
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In-Threshold Run Length in Number o
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Beta Excess Return cond. on # of da
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Beta Excess Return cond. on in-thre
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Total Notional Amount (DTCC) Millio
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Summary of Citigroup Credit Default
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CEDAR HILL CAP 18 bullish bull_18 1
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GOLDMAN SACHS 35 ssell ssel_35 -10,
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MERRILL LYNCH 53 bullish bull_53 5,
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PIM2136 70 ssell ssel_70 PIM2224 71
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PIM3706 88 bullish bull_88 200,000
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ROYAL BANK OF 105 ssell ssel_105 -5
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLUE MTN CREDI 12 abuy abuy_12 -20,
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GENERAL ELECT 34 bearish bear_34 GE
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NATIONAL BANK O 56 cnet cnet_56 0 -
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PIM2679 78 sbuy sbuy_78 PIM2679 78
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PROVINZIAL RHE 101 abuy abuy_101 PR
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Price $15.00 $12.50 $10.00 $7.50 $5
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21 18 COL1 3.807082 3.54 4.04 0.5 3
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Date Open High Low Close Volume Adj
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date2 _NAME_2 no_NoPay_C fi_NoPay_C
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLACK DIAMOND OFFSHORE, LTD 11 abuy
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FORE ERISA FUND, LTD. 31 bearish be
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MARATHON 51 cnet cnet_51 0 0 -45,00
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PIM2224 71 sbuy sbuy_71 1,000,000 P
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PIM4807 92 abuy abuy_92 PIM4807 92
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THE ROYAL BANK OF SCOTLAND PLC 112
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11/18/08 -17000000 10000000 -7,000,
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Adjusted Close 25 20 15 10 5 0 10/1
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BBVA DerivServ SUBMITTING_PARTY SUB
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BUYER_NAME SELLER_ID SELLER_NAME TR
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SUBMIT_DATE SUBMIT_TIME TRANSACTION
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NOTIONAL_AMOUNT NOTIONAL_CURRENCY A
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POST_TRADE_PAYMENT_DATE POST_TRADE_
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PERIOD_MULTIPLIER PAYMENT_FREQUENCY
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INITIAL_CURRENCY RESTRUCTING_INDICA
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MATRIX_TYPE PUBLICATION_DATE 01/01/
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MATRIX_AGREEMENT_DATE ASSIGNMENT_RO
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CREDIT SUISSE INTERNATIONAL 21 abuy
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INTERN KAPIT MBH (PRV-C) 41 bearish
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PIM1356 61 cnet cnet_61 500,000 500
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PIM2755 81 sbuy sbuy_81 300,000 PIM
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PURSUIT 102 abuy abuy_102 PURSUIT 1
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BNP Paribas Securities Corp. Top No
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Volume (thousands) 1 , 1 0 0 1 , 0
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Volume (thousands) Price and Volume
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Volume (thousands) Price and Volume
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Volume (thousands) 3 0 2 0 1 0 0 Pr
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security on each calendar day of th
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10. Percentage of short positions c
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selling. The purple bar indicates t
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Chart 1 Form SH Daily Volume Compar
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Form SH Reported Short Volume for C
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Form SH Data Quality Check of Volum
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Form SH Summary of Securities by CR
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# of Securities (3,989 Total) 1,600
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# Security - Days (3,899 Total) 600
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Form SH Reported Data Compared to O
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# Daily Positions 300,000 250,000 2
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# Daily Volumes 45,000 40,000 35,00
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Securities Reported by Filers 30,00
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Dollar Value Sold Short ($ Millions
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# of Security Days with Some Report
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# of Security Days with Significant
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Price $0.20 $0.19 $0.18 $0.17 $0.16
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Price $3.00 $2.50 $2.00 $1.50 $1.00
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Price $17.50 $17.00 $16.50 $16.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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Price $2.40 $2.35 $2.30 $2.25 $2.20
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Price $16.00 $14.00 $12.00 $10.00 $
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dayn trade_date COMNAM PERMNO SHRCD
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14 14-Nov-08 HONEYWE 10145 11 20.16
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14 14-Nov-08 STURM RU 73219 11 0.00
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14 14-Nov-08 G A T X CO 12036 11 0.
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14 14-Nov-08 MAGUIRE 89768 18 35.07
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14 14-Nov-08 EMERITUS 82638 11 0.32
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14 14-Nov-08 GRAY TEL 83989 11 76.5
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14 14-Nov-08 CYTEC IND 80079 11 1.5
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14 14-Nov-08 TEXTAINE 92379 12 1.02
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14 14-Nov-08 CONSOL E 86799 11 3.04
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28 ######## DORAL FIN 12169 11 0.00
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volp_b _TYPE_ _FREQ_ countvolp volp
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shortpct ndays ndays_downdays_flat
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ndays_nex ndays_nex COMNAM 1 1 RITC
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PERMNO trade_date sdevv vol_crsp vo
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trade_date _NAME_ PRC_1 prc_down_ p
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vol_rest_7 PRC_10 prc_down_ prc_up_
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TY ENTERPRISES INC Y CO E BRANDS IN
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17 0 191 191 17 18 0 154 154 18 19
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nfilers_hist count low high lab1 _T
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date day_week count count_vol count
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Symbol hour minute sort trend5_2 tr
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MS 17 43 0 MS 17 44 0 MS 17 45 0 MS
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MS 8 27 1 MS 8 28 1 MS 8 29 1 MS 8
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MS 10 11 1 MS 10 12 1 MS 10 13 1 MS
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MS 11 55 1 MS 11 56 1 MS 11 57 1 MS
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MS 13 39 1 MS 13 40 1 MS 13 41 1 MS
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MS 15 23 1 MS 15 24 1 MS 15 25 1 MS
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
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HBB LBB HBB LBB HBB LBB HBB LBB HBB
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LBB LBB LBB LBB LBB LBB
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
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118679 140734 81539 98153 119580 10
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549976 740793 730713 530553 633869
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241120 221885 463089 242404 268242
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1034773 507119 1929040 729702 21777
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down5_8 down5_9 down5_10 down5_11 d
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594851 477540 815219 558737 595063
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533491 248814 375456 321906 302504
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624651 1105941 805570 1053176 11970
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4200 37163 300 200 7379 500 700 100
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100 100 1501 600 621 330 4000 1200
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100 600 500 5500 100 200 1200 3800
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20910 36164 30643 155502 74702 1124
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34196 19500 55548 30203 29025 49981
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33038 9300 33512 28113 24513 31940
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trade_12 trade_15 trade_16 trade_17
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3259 4060 1301 3600 6100 410 3800 1
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245 23292 29685 32235 131277 50646
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94506 158205 426920 1103544 257455
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16200 110995 231657 425131 597896 4
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37430 109134 110898 474335 769341 7
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53417 181823 546172 342284 49297 19
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MS 16 49 MS 16 50 MS 16 51 MS 16 52
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MS 18 33 MS 18 34 MS 18 35 MS 18 36
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MS 9 17 MS 9 18 MS 9 19 MS 9 20 MS
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MS 11 1 MS 11 2 MS 11 3 MS 11 4 MS
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MS 12 45 MS 12 46 MS 12 47 MS 12 48
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MS 14 29 MS 14 30 MS 14 31 MS 14 32
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spindex__ meanp_2 minp_2 maxp_2 ran
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41.16
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41.46327 41.45829 41.46125 41.46493
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42.14067 42.1 42.23 0.13 0 35200 41
Page 491 and 492:
42.04836 42 42.1 0.1 0 24500 41.392
Page 493 and 494:
41.39925 41.39 41.42 0.03 0 24442 4
Page 495 and 496:
40.86447 40.82 40.88 0.06 0 28120 4
Page 497 and 498:
41.3 41.3 0 13055 0 41.2573 41.2701
Page 499 and 500:
41.052 41.06055 41.04888 41.1732 41
Page 501 and 502:
41.18338 41.19231 41.19168 41.19479
Page 503 and 504:
41.73 41.82 0.09 0 22423 41.24243 4
Page 505 and 506:
41.49 41.54 0.05 0 13778 40.99331 4
Page 507 and 508:
41.45 41.48 0.03 0 15300 41.02212 4
Page 509 and 510:
angep_4 tradebig_4 tradesmall_spind
Page 511 and 512:
42.18422 42.18422 42.18272 0 0 100
Page 513 and 514:
41.97166 41.96509 41.98361 41.98375
Page 515 and 516:
0.1289 12200 82640 41.8887 40.12155
Page 517 and 518:
0.09 0 21945 41.41648 40.53181 40.4
Page 519 and 520:
0.08 0 51100 41.11773 41.09831 41.0
Page 521 and 522:
0.1 0 43500 41.07753 40.66593 40.64
Page 523 and 524:
40.35161 41.72151 40.34821 41.72793
Page 525 and 526:
100 40.23214 44.32539 44.3 44.51 0.
Page 527 and 528:
40.04062 44.11875 44.1 44.15 0.05 0
Page 529 and 530:
37530 39.78727 41.9703 41.88 42.08
Page 531 and 532:
17590 40.17506 42.82236 42.77 42.86
Page 533 and 534:
23962 40.35303 42.48832 42.45 42.55
Page 535 and 536:
meanp_9 minp_9 maxp_9 rangep_9 trad
Page 537 and 538:
43.18457 43.18117 43.19477 43.18627
Page 539 and 540:
43.36903 43.37727 39.7425 39.74 43.
Page 541 and 542:
42.95786 42.87 43 0.13 0 70242 43.1
Page 543 and 544:
42.17411 42.14 42.24 0.1 0 90289 42
Page 545 and 546:
41.78421 41.74 41.84 0.1 0 26343 42
Page 547 and 548:
40.50608 40.45 40.55 0.1 0 34709 42
Page 549 and 550:
40.4893 40.45867 40.4 0 41937 0 40.
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40 0.05 0 600 40.50209 37.71002 37.
Page 553 and 554:
39.94 0.13 0 2192 40.67039 35.91425
Page 555 and 556:
38.32 0.14 0 111093 40.37693 37.312
Page 557 and 558:
39.02 0.08 0 34460 40.69035 37.5625
Page 559 and 560: 40.07 0.05 0 21911 40.88056 38.7236
Page 561 and 562: tradebig_11tradesmall_spindex_11mea
Page 563 and 564: 39.07 39.07 39.07 0 0 100 39.05293
Page 565 and 566: 0 1500 38.43361 0 500 38.39862 38.2
Page 567 and 568: 0 208240 38.53788 37.8859 37.84 37.
Page 569 and 570: 0 119996 38.95339 39.13122 39.06 39
Page 571 and 572: 0 44256 38.79547 37.98676 37.94 38.
Page 573 and 574: 0 110077 39.01476 38.22831 38.21 38
Page 575 and 576: 38.70023 37.3634 38.72405 37.23349
Page 577 and 578: 38.55764 34.03986 33.9 34.5 0.6 0 8
Page 579 and 580: 38.32867 32.99608 32.99 33.01 0.02
Page 581 and 582: 38.63587 34.58665 34.56 34.66 0.1 4
Page 583 and 584: 38.56625 33.82328 33.76 33.88 0.12
Page 585 and 586: 38.54373 32.38956 32.27 32.5 0.23 0
Page 587 and 588: minp_16 maxp_16 rangep_16 tradebig_
Page 589 and 590: 32.13448 31.78 31.78 0 0 200 32.134
Page 591 and 592: 27.86 28.24 0.38 0 60290 31.67596 2
Page 593 and 594: 28.025 28.75 0.725 59400 618974 31.
Page 595 and 596: 26.42 26.78 0.36 0 182872 31.98663
Page 597 and 598: 27.83 27.995 0.165 0 85468 32.13794
Page 599 and 600: 28.42 28.8 0.38 40100 308589 32.558
Page 601 and 602: 0.38 0 7875 28.54326 22.66857 22.58
Page 603 and 604: 0.4 0 37836 28.72396 22.84878 22.55
Page 605 and 606: 0.46 23416 91786 28.11341 20.14171
Page 607 and 608: 0.29 0 408554 27.96835 19.59765 19.
Page 609: 0.225 0 494911 27.84082 15.32434 14
Page 613 and 614: tradesmall_spindex_18meanp_19 minp_
Page 615 and 616: 2900 21.79807 22.57521 7500 22.7348
Page 617 and 618: 59616 21.91836 32.85777 32.69 33 0.
Page 619 and 620: 813439 22.14338 25.76577 24.85 26.7
Page 621 and 622: 463989 21.6108 28.04861 27.99 28.12
Page 623 and 624: 439396 21.88219 28.96691 28.85 29.0
Page 625 and 626: 1307381 22.45974 25.50933 25.1388 2
Page 627 and 628: 27.09373 0 26.89034 26.75 26.9 0.15
Page 629 and 630: 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Page 631 and 632: 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 633 and 634: 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 635 and 636: 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1:0
Page 637 and 638: 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 639: verticle close_1 close_2 close_3 cl
Page 643 and 644: 40.83 41.3 42.17 40.34 41.36 43.27
Page 645 and 646: 50 51 52 53 54 55 56 57 58 59 60 61
Page 647 and 648: 154 155 156 157 158 159 160 161 162
Page 649 and 650: 258 259 260 261 262 263 264 265 266
Page 651 and 652: 362 363 364 365 366 367 368 369 370
Page 653 and 654: 466 467 468 469 470 471 472 473 474
Page 655 and 656: 570 571 572 573 574 575 576 577 578
Page 657 and 658: Morgan Stanley Intraday Trading by
Page 659 and 660: Goldman Sachs September Activity Ja
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Trading Patterns of Interest • Tr
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Goldman Sachs Stock Price Summary P
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Goldman Sachs Intra-Day Stock Price
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Goldman Sachs Intra-Day Stock Price
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Goldman Sachs 21(a) Response - Exam
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Goldman Sachs 21(a) Response - Exam
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Morgan Stanley CDS Summary (Goldman
Page 675 and 676:
Morgan Stanley CDS Transactions (Go
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Example 6: CDS (Using Morgan Stanle
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Goldman Sachs Example 8a: Assent St
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Goldman Sachs Example 8c: Assent St
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Summary File Common Stock Transacti
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Confidential 45 Wellington Capital
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OEA DRAFT - INTERNAL Therefore, exa
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Figure 2 Percent of Shares Outstand
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Merrill Lynch September Activity Ja
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Merrill Lynch Stock Price Summary P
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch CDS Prices of New Tra
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Merrill Lynch CDS Transactions Top
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Merrill Lynch 21(a) Response - Exam
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Merrill Lynch Example 7a: Assent St
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Merrill Lynch Example 7c: Assent St
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Morgan Stanley Stock Price Summary
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Morgan Stanley Intra-Day Stock Pric
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Morgan Stanley CDS Summary SEC_OEA_
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Morgan Stanley 21(a) Response - Exa
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Morgan Stanley September Activity J
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Morgan Stanley Stock Price Summary
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Morgan Stanley CDS Prices of New Tr
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Morgan Stanley CDS Transactions Top
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Morgan Stanley Example 1b: CDS Cita
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Morgan Stanley Example 2b: CDS Paul
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Morgan Stanley Example 3b: CDS Deut
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Morgan Stanley Example 4b: CDS Merr
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Morgan Stanley Example 5b: Assent S
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Washington Mutual September Activit
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Washington Mutual Stock Price Summa
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Washington Mutual Intra-Day Stock P
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Washington Mutual Intra-Day Stock P
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Washington Mutual CDS Prices of New
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Washington Mutual CDS Transactions
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Washington Mutual 21(a) Response -
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Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
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Form 424B2 NATIONAL CITY CORP - ncc
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2013 at a redemption price per shar
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Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
Page 799:
Table of Contents Dividend Stopper
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S-4
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Table of Contents RISK FACTORS An i
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Table of Contents decline as a resu
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Table of Contents USE OF PROCEEDS W
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Table of Contents upon the conversi
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Table of Contents number of shares
Page 814 and 815:
Table of Contents not to issue such
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Table of Contents adjustments to th
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Table of Contents to authorize, or
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Table of Contents exercised by the
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Table of Contents DIRECT REGISTRATI
Page 824 and 825:
Table of Contents of a partnership
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Table of Contents in an amount equa
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Table of Contents Information Repor
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Table of Contents Plan, or any pers
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Table of Contents Shares of Series
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Table of Contents Maximum Number of
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Table of Contents (1) The “Maximu
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Table of Contents natural persons t
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Table of Contents Because the selli
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Table of Contents PLAN OF DISTRIBUT
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Table of Contents PROSPECTUS Senior
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Table of Contents ABOUT THIS PROSPE
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Table of Contents No dealer, salesp
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Washington, DC 20549-9040 (202) 551
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Table of Contents CALCULATION OF RE
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TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
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Table of Contents Stock will automa
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Table of Contents Anti-Dilution Adj
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Table of Contents Voting Rights Ran
Page 871 and 872:
Table of Contents The market price
Page 873 and 874:
Table of Contents The Series G Pref
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Table of Contents DESCRIPTION OF NA
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Table of Contents Certificate of De
Page 879 and 880:
Table of Contents Where, OS 0 = the
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Table of Contents with a tender or
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Table of Contents Right to Elect Tw
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Table of Contents participating, op
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Table of Contents based on the high
Page 889 and 890:
Table of Contents CERTAIN U.S. FEDE
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Table of Contents Stock or our comm
Page 893 and 894:
Table of Contents other requirement
Page 895 and 896:
Table of Contents CERTAIN ERISA CON
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Table of Contents SELLING STOCKHOLD
Page 899 and 900:
Page 901:
Page 904 and 905:
Page 906 and 907:
Page 908 and 909:
(12) Aristeia Capital LLC is the in
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Table of Contents (22) All of the e
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Table of Contents Each of SAC Capit
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Table of Contents EXPERTS The conso
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TABLE OF CONTENTS Prospectus About
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Table of Contents You may request a
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Fallon, Zachary From: Krawitz, Jaco
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Confidential # Producer How To Use
Page 925 and 926:
Price $30.00 $25.00 $20.00 $15.00 $
Page 927 and 928:
Price $20.00 $18.00 $16.00 $14.00 $
Page 929 and 930:
Price $50.00 $45.00 $40.00 $35.00 $
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dayn hour _NAME_ AIG_mean AIG_minp
Page 933 and 934:
10 11 COL1 18.24242 17.62 18.9 1.28
Page 935 and 936:
18 19 COL1 2.697085 2.58 2.8 0.22 1
Page 937 and 938:
21.08166 159.9686 159.95 160.03 0.0
Page 939 and 940:
20.65615 134.4959 130.43 145.89 15.
Page 941 and 942:
GS_close LEH_meanLEH_minp LEH_maxpL
Page 943 and 944:
7.766267 7.44 8.2 0.76 1864755 2700
Page 945 and 946:
142.51 129.8
Page 947 and 948:
24.59935 24.21 24.9 0.69 0 33850 27
Page 949 and 950:
18.62415 17.26 19.45 2.19 1793447 3
Page 951 and 952:
MS_minp MS_maxp MS_rangepMS_tradeb
Page 953 and 954:
38.08 39.04 0.96 342900 3791667 39.
Page 955 and 956:
22.81 25.07 2.26 0 176151 39.31129
Page 957 and 958:
4.0454 26650 4.02 0.12 5/18/1927 16
Page 959 and 960:
2.17 0.18 15724864 47826532 3.96374
Page 961 and 962:
MER_shortGS_shorta GS_shortp AIG_sh
Page 963 and 964:
23.01972 855059 156.7115 5143237 18
Page 965 and 966:
22.71091 19061 114.533 600 2.75 127
Page 967 and 968:
2200 6000 100 7200 26800 3.919888 3
Page 969 and 970:
23916408 2.052039 81053295 38584977
Page 971 and 972:
Fallon, Zachary From: Edwards, Amy
Page 973 and 974:
2118 Wilshire Boulevard, #596 Santa
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SAS Output 20080925 60505724BANK OF
Page 977 and 978:
SAS Output 20080916 261018105DOWNEY
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SAS Output 2008091734958B106 FORTRE
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SAS Output 20080922 493267405KEYCOR
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SAS Output 20080918 902973882US Ban
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SAS Output 20080918 929251106W HOLD
Page 987 and 988:
SAS Output 20080925 939322103WASHIN
Page 989 and 990:
Fallon, Zachary From: McCormick, Ti
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arrived, they might borrow real sha
Page 993 and 994:
friendly relations with its short-s
Page 995 and 996:
To: Jim Overdahl From: Tim McCormic
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• For exchange-listed issues, the
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Table 2 Average Daily Number of Sec
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Table 4 Summary Statistics for Secu
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Reg SHO Pilot Report DRAFT 9/14/200
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permanent the relevant provisions o
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• The average daily dollar value
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Table 1 Summary Statistics on Fails
Page 1107 and 1108:
Page 1109 and 1110:
2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1111 and 1112:
700 600 500 400 300 200 100 0 20050
Page 1113 and 1114:
3 2.5 2 1.5 1 0.5 0 Figure 5 Fails
Page 1115 and 1116:
2 1.5 1 0.5 0 Figure 7 Fails to Del
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Fail Category Settlement Days to Cl
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Reg SHO Pilot Report 2/12/2007 Tabl
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Reg SHO Pilot Report 2/12/2007 In J
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Reg SHO Pilot Report 2/12/2007 grou
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Reg SHO Pilot Report 2/12/2007 pilo
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Reg SHO Pilot Report 2/12/2007 Thir
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Reg SHO Pilot Report 2/12/2007 II H
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Reg SHO Pilot Report 2/12/2007 In 1
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Reg SHO Pilot Report 2/12/2007 With
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Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
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Reg SHO Pilot Report 2/12/2007 rule
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Reg SHO Pilot Report 2/12/2007 Simi
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Reg SHO Pilot Report 2/12/2007 The
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Reg SHO Pilot Report 2/12/2007 V Me
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Reg SHO Pilot Report 2/12/2007 R =
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Reg SHO Pilot Report 2/12/2007 dist
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Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 Stoc
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Reg SHO Pilot Report 2/12/2007 side
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Reg SHO Pilot Report 2/12/2007 Stoc
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Reg SHO Pilot Report 2/12/2007 toge
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Reg SHO Pilot Report 2/12/2007 incr
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Reg SHO Pilot Report 2/12/2007 day
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Reg SHO Pilot Report 2/12/2007 mani
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Reg SHO Pilot Report 2/12/2007 pilo
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Reg SHO Pilot Report 2/12/2007 marg
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Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 lowe
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Reg SHO Pilot Report 2/12/2007 Refe
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Reg SHO Pilot Report 2/12/2007 Figu
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Reg SHO Pilot Report 2/12/2007 Stud
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TO: File FROM: Office of Economic A
Page 1209 and 1210:
• The average daily number of opt
Page 1211 and 1212:
Page 1213 and 1214:
provides for a 35-settlement day ph
Page 1215 and 1216:
• The average daily number of fai
Page 1217 and 1218:
Page 1219 and 1220:
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2.5 2 1.5 1 0.5 0 20040401 20040825
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700 600 500 400 300 200 100 0 20050
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2.5 2 1.5 1 0.5 0 20080602 20080616
Page 1227 and 1228:
1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
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All Securities (Table 1): Table 1 s
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Daily Fails to Deliver in All Secur
Page 1235 and 1236:
Page 1237 and 1238:
Page 1239 and 1240:
700 600 500 400 300 200 100 0 0501
Page 1241 and 1242:
1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
Page 1243 and 1244:
700 600 500 400 300 200 100 0 20080
Page 1245 and 1246:
Number of Threshold Securities 700
Page 1247 and 1248:
Page 1249 and 1250:
• The average daily number of fai
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Daily Number of Threshold List Secu
Page 1253 and 1254:
Page 1255 and 1256:
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700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
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Fail Category Settlement Days to Cl
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Short Selling in Initial Public Off
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delay, as previously thought. Short
Page 1269 and 1270:
threshold list on the first possibl
Page 1271 and 1272:
Both Geczy, Musto and Reed (2002) a
Page 1273 and 1274:
esponsible for the Internet bubble.
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on periods during the tech bubble.
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trading although the levels are qui
Page 1279 and 1280:
in offer price as measured as the p
Page 1281 and 1282:
ule allows short sales to execute a
Page 1283 and 1284:
negative and occasionally significa
Page 1285 and 1286:
SROs daily for stocks that have agg
Page 1287 and 1288:
place it on a list known as the Reg
Page 1289 and 1290:
order to provide price support. Agg
Page 1291 and 1292:
Panel B of Table 6 presents the det
Page 1293 and 1294:
In focusing on the potential short
Page 1295 and 1296:
During our sample period, Regulatio
Page 1297 and 1298:
The perceived inability of short se
Page 1299 and 1300:
References Aggarwal, Reena and Pat
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Houge, Todd, Tim Loughran, Gerry Su
Page 1303 and 1304:
Table 2 Comparison of First Day Tra
Page 1305 and 1306:
Page 1307 and 1308:
Variable Table 6 Determinants of Lo
Page 1309 and 1310:
Table 8 Short Term Price Effects Th
Page 1311 and 1312:
Figure 1 Distribution of Short Sell
Page 1313 and 1314:
Figure 3 Short Selling, Returns and
Page 1315:
Figure 5 Short Selling and Failures
show all

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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